Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 7 2 5
Score -3.11 -5.99 -5.52
Market Cap (Millions USD) 9.33 10.2 10.93
Predicted Beta 0.11 0.11 0.12
Idiosyncratic Volatility 0.82 0.58 1.13

Annualized return and volatility

ADRU
Annualized Return 0.0584
Annualized Std Dev 0.2430
Annualized Sharpe (Rf=0%) 0.2404

Row

Daily Return Statistics

ADRU
Observations 4381.0000
NAs 733.0000
Minimum -0.1564
Quartile 1 -0.0049
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0062
Maximum 0.1757
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0153
Skewness 0.2678
Kurtosis 18.7827

Downside Risk

ADRU
Semi Deviation 0.0108
Gain Deviation 0.0127
Loss Deviation 0.0130
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6344
Historical VaR (95%) -0.0208
Historical ES (95%) -0.0367
Modified VaR (95%) -0.0178
Modified ES (95%) -0.0178
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2018-01-04 -0.6344 2607 348 2259
2018-01-29 2018-12-27 NA -0.2239 490 235 NA
2003-01-21 2003-04-02 2003-06-06 -0.1976 99 53 46
2003-10-08 2003-10-08 2003-12-19 -0.1564 53 1 52
2007-07-16 2007-08-16 2007-10-01 -0.1296 56 24 32

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ADRU
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2003 0.0 0.0 0.0 0.0 0.0 -2.7 -1.7 0.0 0.0 0.0 -5.4 0.0 -9.5
2004 0.0 1.3 1.0 0.0 -0.4 -1.8 0.0 0.6 0.0 0.5 1.2 0.0 2.4
2005 1.0 0.4 0.0 0.0 0.4 0.0 1.2 1.6 0.0 0.0 1.7 0.0 6.5
2006 0.0 1.0 0.0 0.2 0.8 0.0 -0.5 0.5 0.0 0.0 -0.7 0.0 1.2
2007 0.9 -1.2 0.0 0.1 0.9 0.0 -0.1 0.0 1.3 -4.2 0.0 0.0 -2.4
2008 1.5 0.0 2.9 0.5 0.0 -1.7 -1.6 0.0 0.7 0.0 -8.7 0.0 -6.5
2009 0.0 0.0 0.8 2.2 3.9 2.9 0.0 -2.9 -3.0 0.0 2.9 0.0 6.7
2010 1.6 -0.1 1.2 0.0 -1.7 0.4 0.0 3.3 1.1 0.1 2.8 0.0 9.1
2011 2.4 -1.2 0.8 0.0 -1.7 1.5 -1.5 0.0 0.0 -5.1 0.0 0.0 -5.0
2012 1.9 0.8 0.0 0.5 -1.7 0.0 0.6 0.0 0.7 1.0 0.0 0.0 3.9
2013 0.7 -0.7 -0.2 -0.2 0.0 0.7 0.1 0.0 0.3 -0.8 0.0 0.0 -0.1
2014 0.0 0.0 0.5 0.3 0.0 0.7 -0.5 0.0 -1.1 0.0 0.1 0.0 0.0
2015 0.0 0.0 0.6 0.3 -0.5 0.4 0.0 -2.8 0.2 0.0 1.2 0.0 -0.7
2016 0.2 1.5 -0.6 0.0 -0.3 2.0 -1.4 0.1 0.0 -0.7 0.2 0.0 1.0
2017 -0.4 1.2 0.0 0.0 0.5 0.0 1.1 0.1 0.0 0.1 -0.6 0.0 2.2
2018 -0.9 -1.6 0.0 -0.7 0.0 0.0 -0.6 0.0 -1.6 1.3 0.0 0.0 -4.0
2019 0.9 0.0 1.6 0.1 0.0 0.6 -1.3 0.0 0.0 0.2 0.0 -0.2 2.0

Row

Rolling Performance Chart

Snail Trail Chart